Seminar



    Department of Systems Engineering and Engineering Management

            The Chinese University of Hong Kong

 

Title     : A Moment Robust Constrained Multi-Product Newsvendor Problem



Speaker    : Mr. He ZHANG

             Department of Industrial Engineering & Management Sciences

             Northwestern University



Date       : 30 January 2013 (Wednesday)***Special Date***

Time       : 2:00 p.m. – 3:30 p.m.

Venue      : Room 513

             William M.W. Mong Engineering Building

             CUHK

 

Abstract:

We present a moment robust constrained multi-product newsvendor problem. We assume that for each product we only know the mean and variance of the demand distribution. Our model is a max-min model which will hedge the worst case distribution for each given purchasing policy. We show that the problem can be reformulated as a semidefinite program. For each given ordering policy, there exists a distribution achieving the worst case. We also analyze two other possible cases: (1) the support of the distribution is the full space; (2) the demands are correlated and the available information of the demand distribution is the mean vector and covariance matrix. The first case has an equivalent semidefinite programming reformulation and the second case can be reformulated as a semidefinite program with exponentially many constraints. A two-product newsvendor problem with a capacity constraint is studied as a numerical example.



Biography:

He Zhang is a Ph.D Candidate of Industrial Engineering and Management Sciences at the Northwestern University. He received his B.S. in automation and M.S. in control science and engineering from Tsinghua University, and his M.S. in management science and engineering from the Stanford University. His current research interests are in the areas of Production and Inventory Systems, stochastic and robust optimization, healthcare information management and Data Mining.





************************* ALL ARE WELCOME ************************

Host         : Prof. Helen Meng

Tel          : (852) 3943-8316

Email        : hmmeng@se.cuhk.edu.hk

Enquiries    : 3943 8315 (Mrs. Monica Wong)

               Department of Systems Engineering and Engineering Management

               CUHK

Website      : http://seminar.se.cuhk.edu.hk

Email        : seem5202@se.cuhk.edu.hk